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Title: The relationship between stock returns and the macroeconomy : international evidence using linear and nonlinear models of open and closed economy systems
Author: Najjar, Mazen Ramsay
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2006
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This thesis investigates the relationships between financial, monetary, and economic variables in open and closed-economy systems using data from the G7. A number of linear and nonlinear models are used in an attempt to better understand variable dynamics and assess the capabilities of the different models. Linear and nonlinear cointegration and specification tests are carried out. Also, dynamic innovation analysis is developed for the different systems. Main findings suggest that financial and economic relations are largely country specific. Strong evidence of increasing European integration effects with time is found. Furthermore, equity spillover effects are reported between G4 markets. Nonlinear cointegration and regime dependent dynamics are identified in all systems. Threshold and Markov based vector error correction models provide a more complete picture of variable dynamics and adjustment mechanisms. Similarly, regime dependent dynamic innovation analysis is found key for understanding the evolutions of the various interrelationships. Finally, it is argued that capitalising on the strengths of the different linear and nonlinear models contributes to a better and more complete understanding of the studied dynamics.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available